You would likely join the RCIA program, which is designed for adults:
- to receive any sacraments they have missed
- be welcomed into the Church, or
- convert altogether to Catholicism.
Most parishes start it sometime in the fall, usually have a weekly evening session, and have the catechumenate (those who are unbaptized) receive their sacraments at Easter time (often the Easter Vigil).
Most people I know who have taken it find it to be great, very informative, and an opportunity to really deepen and educate their faith.
You can inquire at your local parish and they will give you the particulars.